Exponential Conditional Volatility Models
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Harvey, AC
Abstract
The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven by the score.
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Keywords
Duration models, gamma distribution, general error distribution, heteroskedasticity, leverage, score, Student's t
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